CRAN

autovarCore 1.0-0

Automated Vector Autoregression Models and Networks

Released Jul 1, 2015 by Ando Emerencia [aut, cre]

This package cannot yet be used with Renjin it depends on other packages which are not available: Amelia 1.7.3

Dependencies

Amelia 1.7.3 urca 1.2-8 vars 1.5-2 jsonlite 0.9.16 Rcpp

Automatically find the best vector autoregression models and networks for a given time series data set. 'AutovarCore' evaluates eight kinds of models: models with and without log transforming the data, lag 1 and lag 2 models, and models with and without day dummy variables. For each of these 8 model configurations, 'AutovarCore' evaluates all possible combinations for including outlier dummies (at 2.5x the standard deviation of the residuals) and retains the best model. Model evaluation includes the Eigenvalue stability test and a configurable set of residual tests. These eight models are further reduced to four models because 'AutovarCore' determines whether adding day dummies improves the model fit.

Source

R
C++

View GitHub Mirror

Release History